Please use this identifier to cite or link to this item: http://hdl.handle.net/10603/10803
Title: An evaluation of efficiency of Tehran stock exchange
Researcher: Bizhan Abedini
Guide(s): Suryanarayana Murthy, M R
Keywords: Commerce
Efficient Market Hypothesis
Tehran stock exchange
Kurtosis
Skewness
Jarque-Bera test
Upload Date: 29-Aug-2013
University: University of Mysore
Completed Date: 2009
Abstract: The purpose of this study is to test the applicability of Random Walk Hypothesis and thus, the weak form efficiency of Tehran Stock Exchange (TSE).The investigation was based on the data representing the stock price changes of a cross section of forty-nine companies selected of random out of 420 companies listed at TSE. newlineThe periodicity of data is 21th March 1989 to 11th August 2008. newlineThe applicability of weak form market efficiency was examined with the help of five different tests viz. Mean value, Normality of distribution, Autocorrelation, Runs test and Variance ratio test. newlineThe results show that for shorter time lags measured in days, there is inter-dependence of stock market prices rejecting RWH. However, for longer time lags measured in terms of weeks and months, we find support for independence of stock market prices. Independence of stock market prices for longer time lags is natural and acceptable. However it is the preponderance of inter-dependence of stock market prices during shorter intervals that highlights the inefficiency of TSE in weak form.
Pagination: xv, 211p.
URI: http://hdl.handle.net/10603/10803
Appears in Departments:Department of Commerce

Files in This Item:
File Description SizeFormat 
01_title.pdfAttached File83.8 kBAdobe PDFView/Open
02_certificate.pdf53.78 kBAdobe PDFView/Open
03_declaration.pdf51.29 kBAdobe PDFView/Open
04_abstract.pdf9.52 kBAdobe PDFView/Open
05_acknowledgements.pdf38.76 kBAdobe PDFView/Open
06_abbreviations.pdf21.17 kBAdobe PDFView/Open
07_contents.pdf25.35 kBAdobe PDFView/Open
08_list of tables.pdf28.65 kBAdobe PDFView/Open
09_list of figures.pdf11.28 kBAdobe PDFView/Open
10_chapter 1.pdf70.15 kBAdobe PDFView/Open
11_chapter 2.pdf204.93 kBAdobe PDFView/Open
12_chapter 3.pdf255.33 kBAdobe PDFView/Open
13_chapter 4.pdf224.67 kBAdobe PDFView/Open
14_chapter 5.pdf480.8 kBAdobe PDFView/Open
15_chapter 6.pdf59 kBAdobe PDFView/Open
16_appendix.pdf1.63 MBAdobe PDFView/Open


Items in Shodhganga are protected by copyright, with all rights reserved, unless otherwise indicated.

Altmetric Badge: